• Career Opportunity at Ernst and Young

  • Posted on: 8 November, 2016 Deadline: Not Specified
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    Quantitative Analyst

     

    Role Description

    The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:

    • Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
    • Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements
    • Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
    • Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients

    Qualifications

    • B.Sc. (2.1)/MBA in Mathematics or Actuarial Science

    Relevant working experience

    • 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
    • Basel II/III capital requirement calculations under Advanced IRB approach
    • Banking/Insurance
    • IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
    • Modeling savvy:
      • Using mathematical sense to model under different scenarios
      • Model validation etc.

    Method of Application

    Interested and qualified? Go to Ernst and Young career website on tas-ey.taleo.net to apply

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